Screening Equities with 15-Minute MACD and Volatility Filters

Summary

This document describes a Chinese equity screen combining daily price amplitude above 1, market capitalization above 200 million, and a shortening 15-minute MACD histogram. It interprets the amplitude filter as a way to find more active stocks, the size threshold as a basic scale filter, and a contracting negative MACD histogram as a possible sign that downward momentum is slowing.

The article offers example implementation references and suggests adding fundamental or technical factors and applying risk controls. It warns that MACD behavior varies across markets, amplitude and capitalization alone do not establish a stock’s value, and broader market movements can affect selected stocks. It provides no backtest, performance evidence, or validation of the code; the stated screen is therefore a selection idea rather than a demonstrated trading strategy.

Key ideas

• The screen combines price amplitude, market capitalization, and a 15-minute MACD histogram condition.
• A shortening negative MACD histogram is treated as a possible indication that a decline is easing.
• The article recommends considering additional fundamental or technical filters and risk controls.
• The document gives no empirical performance evidence, and its example code is not validated in the text.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.